StockFetcher Forums · Filter Exchange · Permanent Portfolio<< 1 2 3 4 >>Post Follow-up
SAFeTRADE
592 posts
msg #156585
Ignore SAFeTRADE
4/13/2021 5:11:06 PM

Fetcher[symlist(uvxy,upro)
draw ma(10)
set{psar, Parabolic SAR(0.05,0.5)}
set{buy, count(close crossed above psar,1)}
set{sell, count(close crossed below psar,1)}
draw psar on plot price
draw buy
draw sell
]



Safetrade

davesaint86
720 posts
msg #156595
Ignore davesaint86
4/14/2021 9:47:55 AM

https://www.volatilitytradingstrategies.com/


davesaint86
720 posts
msg #156602
Ignore davesaint86
4/14/2021 5:47:41 PM

Fetcher[symlist(tqqq,uvxy,copx,gbtc)
draw ma(10)
set{psar, Parabolic SAR(0.05,0.5)}
set{buy, count(close crossed above psar,1)}
set{sell, count(close crossed below psar,1)}
draw psar on plot price
draw buy
]



Cheese
1,374 posts
msg #156603
Ignore Cheese
modified
4/14/2021 6:53:28 PM

https://www.stockfetcher.com/forums/Filter-Exchange/Permanent-Portfolio/156248/20
SAFeTRADE 4/13/2021 5:11:06 PM

symlist(uvxy,upro)
draw ma(10)
set{psar, Parabolic SAR(0.05,0.5)}
set{buy, count(close crossed above psar,1)}
set{sell, count(close crossed below psar,1)}
draw psar on plot price
draw buy
draw sell
========================================

@SAFeTRADE
THANK YOU for your filter and Parabolic SAR(0.05,0.5).


davesaint86
720 posts
msg #156610
Ignore davesaint86
modified
4/15/2021 10:50:12 AM

Thanks SafeTrade. All I did was add two more uncorrelated ETFs to the mix. I watched a video where they were allocated:

66% TQQQ
19% COPX
10% UVXY
5% GBTC

olathegolf
119 posts
msg #156618
Ignore olathegolf
4/15/2021 9:52:07 PM

Here's one from Kiplinger:
Article: The 15 Best Recession-Resistant Stocks to Buy
https://www.kiplinger.com/slideshow/investing/t018-s001-the-15-best-recession-resistant-stocks-to-buy/index.html

I equal weighted using Portfolio Visualizer
Rebalanced monthly although CAGR based on rebalancing quarterly, semi-annually, and yearly were not that different.

Results:
Period: 2009-2021
Initial Balance: $10,000
Final Balance: $71,920
CAGR: 17.35%
Stdev: 10.53%
Best Year: 29.38%
Worst Year: 3.16%
Max. Drawdown: -14.05%
Sharpe Ratio: 1.53
Sortino Ratio: 3.06
US Mkt Correlation: 0.72

https://www.portfoliovisualizer.com/test-market-timing-model?s=y&coreSatellite=false&timingModel=6&timePeriod=4&startYear=1985&firstMonth=1&endYear=2021&lastMonth=12&calendarAligned=true&includeYTD=true&initialAmount=100000&periodicAdjustment=0&adjustmentAmount=0&inflationAdjusted=true&adjustmentPercentage=0.0&adjustmentFrequency=4&symbols=WMT+DLTR+ROST+MCD+K+ROL+HRB+AZO+BF.B+BMY+MKC+HRL+V+CHD+IAU&singleAbsoluteMomentum=false&volatilityTarget=9.0&downsideVolatility=false&outOfMarketStartMonth=5&outOfMarketEndMonth=10&outOfMarketAssetType=2&outOfMarketAsset=VUSTX&movingAverageSignal=1&movingAverageType=1&multipleTimingPeriods=true&periodWeighting=2&windowSize=1&windowSizeInDays=105&movingAverageType2=1&windowSize2=10&windowSizeInDays2=105&excludePreviousMonth=false&normalizeReturns=false&volatilityWindowSize=0&volatilityWindowSizeInDays=0&assetsToHold=3&allocationWeights=1&riskControlType=0&riskWindowSize=10&riskWindowSizeInDays=0&rebalancePeriod=1&separateSignalAsset=false&tradeExecution=0&comparedAllocation=0&benchmark=-1&benchmarkSymbol=SPY&timingPeriods%5B0%5D=1&timingUnits%5B0%5D=2&timingWeights%5B0%5D=33&timingPeriods%5B1%5D=3&timingUnits%5B1%5D=2&timingWeights%5B1%5D=33&timingPeriods%5B2%5D=6&timingUnits%5B2%5D=2&timingWeights%5B2%5D=34&timingUnits%5B3%5D=2&timingWeights%5B3%5D=0&timingUnits%5B4%5D=2&timingWeights%5B4%5D=0&volatilityPeriodUnit=2&volatilityPeriodWeight=0

Cheese
1,374 posts
msg #156622
Ignore Cheese
4/16/2021 12:32:53 AM

@olathegolf

WMT DLTR ROST MCD K ROL HRB AZO BF.B BMY MKC HRL V CHD IAU

Looks great. THANK YOU !





davesaint86
720 posts
msg #156629
Ignore davesaint86
modified
4/16/2021 8:09:06 AM

Good find Olathegolf. I took V out because I wanted to see what this strategy did in 2008. Going back to 2006 the strategy never went to VUSTX once. Also, adding COST to the mix improves it.

Davesaint

davesaint86
720 posts
msg #156630
Ignore davesaint86
4/16/2021 9:33:51 AM

https://www.portfoliovisualizer.com/optimize-portfolio?s=y&goal=9&symbol10=BMY&symbol13=CHD&symbol14=IAU&symbol11=MKC&symbol12=HRL&symbol18=clx&benchmark=VFINX&symbol15=COST&symbol16=GILD&symbol20=sjm&symbol19=V&targetAnnualVolatility=10&constrained=false&symbol4=MCD&lastMonth=12&historicalVolatility=true&symbol7=HRB&symbol6=ROL&symbol1=WMT&endYear=2021&symbol3=ROST&symbol2=DLTR&mode=2&comparedAllocation=1&startYear=2006&symbol9=BF.B&symbol8=AZO&timePeriod=4&historicalReturns=true&robustOptimization=false&targetAnnualReturn=15&historicalCorrelations=true&firstMonth=1&groupConstraints=false

Risk Parity - Added more risk-adverse stocks.

Cheese
1,374 posts
msg #156632
Ignore Cheese
4/16/2021 10:28:45 AM

@davesaint86

Thank you for the Risk Parity strategy and the additional risk-adverse stocks.
I plan to use some of your recent filters to monitor these stocks.


StockFetcher Forums · Filter Exchange · Permanent Portfolio<< 1 2 3 4 >>Post Follow-up

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